Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies

• 成果类型: Article
• 署名作者: Gamba, Andrea; Triantis, Alexander J.
• 署名单位: University of Warwick; University System of Maryland; University of Maryland College Park
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1752
• 发表日期: 2014
• 页码: 246-264
• 关键词: finance; Corporate finance; risk management; hedging; operating flexibility; Cash management

摘要

We analyze the value created by a dynamic integrated risk management strategy involving liquidity management, derivatives hedging, and operating flexibility, in the presence of several frictions. We show that liquidity serves a critical and distinct role in risk management, justifying high levels of cash. We find that the marginal value associated with derivatives hedging is likely to be low, though we explain why some empirical studies find a higher value. We explore the complex interactions between operating flexibility and financial risk management, finding that substitution effects are nonmonotonic and are affected by operating leverage, the nature of operating flexibility, and the effectiveness of the hedging instrument.